Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0761 |
| Annualized Std Dev | 0.2126 |
| Annualized Sharpe (Rf=0%) | 0.3579 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3837.0000 |
| NAs | 1.0000 |
| Minimum | -0.1167 |
| Quartile 1 | -0.0044 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1132 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0134 |
| Skewness | -0.2958 |
| Kurtosis | 11.4845 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0096 |
| Downside Deviation (0%) | 0.0096 |
| Maximum Drawdown | 0.6160 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0335 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0320 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2013-01-02 | -0.6160 | 1378 | 416 | 962 |
| 2020-02-13 | 2020-03-23 | 2020-11-24 | -0.3871 | 199 | 27 | 172 |
| 2018-09-24 | 2018-12-24 | 2019-11-01 | -0.2073 | 280 | 64 | 216 |
| 2015-05-22 | 2016-02-11 | 2016-08-15 | -0.1734 | 311 | 183 | 128 |
| 2018-01-29 | 2018-03-23 | 2018-09-21 | -0.1090 | 165 | 39 | 126 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 | -0.5 |
| 2006 | 0.1 | 0.7 | -0.3 | -0.3 | 1.2 | 0.1 | -0.6 | 0.5 | -0.3 | -0.5 | -0.3 | -0.4 | -0.1 |
| 2007 | 0.7 | -0.3 | 0.2 | 0.1 | 0.6 | -0.2 | 0.6 | 1.2 | 1.1 | -2.8 | 0.9 | -0.9 | 1.1 |
| 2008 | 1.5 | -2.8 | 4.1 | 2.1 | -0.2 | 0.4 | -0.3 | -1 | 0.5 | 2.5 | -9.3 | 1.5 | -1.4 |
| 2009 | -2.3 | -2.4 | 2.2 | 0.5 | 2.3 | 0.3 | 1 | -3.8 | -3.5 | -3.7 | 1.2 | -1 | -9.1 |
| 2010 | 1.8 | 1.2 | 0.8 | -1.6 | -2 | -0.6 | 0.1 | 3 | 0.6 | -0.2 | 2.2 | -0.1 | 5.2 |
| 2011 | 1.5 | -1.5 | 0.5 | 0.1 | -2.3 | 1.3 | -0.5 | -1.2 | -2.4 | -3.1 | -0.3 | -0.3 | -8 |
| 2012 | 1.1 | 0.8 | 0.3 | 0.8 | -2.4 | 2.3 | -0.4 | 0.4 | 0.3 | 1.2 | 0.1 | 1.7 | 6.3 |
| 2013 | 1 | 0.4 | -0.4 | -1.1 | -1.3 | 0.7 | 1.3 | -0.5 | 0.8 | 0.3 | -0.1 | 0.4 | 1.4 |
| 2014 | -0.7 | 0.4 | 0.5 | -0.1 | 0.1 | 0.5 | -0.3 | 0.4 | -1.4 | 1.1 | -0.5 | -1 | -0.9 |
| 2015 | -1.4 | -0.3 | -0.3 | 0.9 | 0.1 | 0.6 | -0.3 | -3 | 0.1 | -0.3 | 1 | -0.8 | -3.8 |
| 2016 | 0 | 2.2 | 0.3 | -0.6 | 0.2 | 0.2 | -0.6 | -0.1 | 0.9 | -0.7 | 0.1 | -0.3 | 1.6 |
| 2017 | -0.1 | 1.6 | -0.3 | 0.1 | 1 | 0.2 | 0.2 | 0.5 | 0.2 | 0.2 | 0 | -0.4 | 3.3 |
| 2018 | 0.1 | -1.2 | 1.2 | -0.1 | 0.9 | 0 | -0.4 | -0.1 | 0.3 | 0.9 | 0.5 | 0.8 | 2.8 |
| 2019 | 0.2 | 0.6 | 1.3 | -0.7 | -1.5 | 0.6 | -1.2 | 0.2 | -1.5 | 1.3 | -0.4 | 0.3 | -1 |
| 2020 | -2 | -1.1 | -4.8 | -3.2 | 0.6 | -0.4 | 0.1 | 0.4 | 0.4 | -0.4 | 1 | 0.7 | -8.3 |
| 2021 | 0.2 | 2.5 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-12-19 49.5 SPY 126. -5.10e-3 -0.0059 0.0086 0.03 0.0522 0.400 -0.0893 GLD 50.2 0.0026 -4.45e-2
2 2005-12-20 49.6 SPY 126. 1.00e-3 -0.0116 0.0056 0.0407 0.0452 0.411 -0.0757 GLD 49.0 -0.0235 -5.05e-2
3 2005-12-21 49.7 SPY 126. 1.60e-3 -0.0139 0.0021 0.0387 0.0443 0.400 -0.0623 GLD 49.4 0.0067 -1.95e-2
4 2005-12-22 50.0 SPY 127. 5.20e-3 -0.0059 0.0031 0.0432 0.049 0.407 -0.0327 GLD 50.1 0.0156 -2.00e-3
5 2005-12-23 50.0 SPY 127. 6.00e-4 0.0032 -0.0021 0.0426 0.0518 0.419 -0.0449 GLD 50.1 -0.0004 6.00e-4
6 2005-12-27 49.6 SPY 125. -1.02e-2 -0.0019 -0.0131 0.0323 0.0354 0.404 -0.035 GLD 50.6 0.0104 8.40e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
